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A common risk factor in global credit and equity markets: An exploratory analysis of the subprime and the Sovereign-Debt crises
Corzo Santamaría, María Teresa; Lazcano Benito, Laura; Márquez Vigil, Javier; Gismera Tierno, Laura; Lumbreras Sancho, Sara (2020-06-01)This paper investigates the existence of a common risk factor across asset classes and geographical areas, focusing on the crises and post-crisis periods. This factor has important implications for diversification in ... -
Systematic risk from a corporate structural model approach: from Merton 1974 to Merton 2013
Corzo Santamaría, María Teresa; Lazcano Benito, Laura; Márquez Vigil, Javier; Gismera Tierno, Laura; Lumbreras Sancho, SaraThis paper presents an estimation of the financial risk underlying a worldwide sample of countries and companies by means of Principal Component Analysis and analyzes the main features of this systematic risk factor to ...